Non-Parametric and Semi-Parametric Asset Pricing : An Application to the Colombian Stock Exchange

We estimate non-parametrical one-factor and three-factor international Capital Asset Pricing Models (CAPM) and find strong evidence for rejecting the linear CAPM specification. Furthermore, we find inconsistent linear betas for a series of stocks in the Colombian stock exchange (BVC), supporting the hypothesis of better and consistent fit of non-parametrical versions of the CAPM

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Year of publication:	2015
Authors:	Gomez-Gonzalez, Jose E
Other Persons:	Sanabria-Buenaventura, Elioth (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Kolumbien \| Colombia \| CAPM \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Börsenhandel \| Stock exchange trading
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economic Systems, Vol. 38, No. 2, 2014 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2014 erstellt Volltext nicht verfügbar
Classification:	G12 - Asset Pricing ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013013000